Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0039
Annualized Std Dev 0.2560
Annualized Sharpe (Rf=0%) -0.0153

Row

Daily Return Statistics

Close
Observations 3458.0000
NAs 1.0000
Minimum -0.1153
Quartile 1 -0.0063
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0073
Maximum 0.1223
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0161
Skewness -0.3522
Kurtosis 9.6651

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0115
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.6571
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0400
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0454
From Trough To Depth Length To Trough Recovery
2007-12-20 2009-03-09 NA -0.6571 3335 305 NA
2007-07-16 2007-08-16 2007-10-11 -0.1127 63 24 39
2007-11-01 2007-12-17 2007-12-19 -0.0879 34 32 2
2007-10-15 2007-10-22 2007-10-26 -0.0276 10 6 4
2007-07-05 2007-07-10 2007-07-12 -0.0111 6 4 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA 0.4 -1.2 2 1.3 -2 2.2 0.1 2.7
2008 1.9 -2.2 4.6 0.9 0.6 -1.7 -0.9 -0.5 -1.3 1.3 -9.1 1.7 -5.2
2009 -1 -1.2 4 0 4.3 2.3 0.9 -3.1 -2.2 -4.1 4.1 -0.4 3.2
2010 1.7 0.5 1.9 -1.3 -1.6 0.9 0.3 3.5 0.8 -0.4 2.9 1.2 10.8
2011 2.2 -1.5 1.3 0.5 -2.4 0.7 -1.1 -0.7 -3 -4.1 -1.4 0.5 -8.9
2012 1.8 1.1 0.4 0.4 -2.7 4 -0.2 1 1 1 0 1.7 9.8
2013 0.6 -0.3 -0.9 -0.8 -2.3 1 1.2 -1 0.6 -0.7 0.3 0.6 -1.6
2014 -1.7 0.3 0.7 0 0.1 0.8 -0.6 -0.1 -1.3 1.4 0 -0.7 -1.1
2015 -1.4 0 0.6 0.5 -0.3 0.8 0.5 -3.1 0.3 -0.1 1.2 -1.2 -2.2
2016 -0.4 2.6 -1.1 -0.5 -0.4 0.2 -0.8 0.6 0.7 -0.4 0.2 0.3 1.1
2017 0.2 1.3 -0.1 0.6 0.7 0.1 0.7 0.1 0.7 0.4 -0.2 0.1 4.8
2018 0.1 -1.5 1.2 -0.3 0.6 0.8 -0.5 -0.8 0.1 1 -0.7 0.1 0.2
2019 -0.2 0.4 1.6 -0.9 -0.8 0.4 -0.7 0.4 -0.8 1 -0.6 0.4 0.2
2020 -1.6 -1.1 -4.4 -2.8 2.4 0.1 -2.3 -0.2 0.2 -0.3 2.6 -0.9 -8.1
2021 1.2 1.8 0.1 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-06-25  49.4 SPY    150. -4.80e-3  -0.02    -0.0081   0.0463    0.204    0.306    0.509 GLD    64.4 -0.0054   -0.008 
2 2007-06-26  49.5 SPY    148. -1.03e-2  -0.0325  -0.0224   0.038     0.192    0.296    0.486 GLD    63.6 -0.0126   -0.0284
3 2007-06-27  49.8 SPY    150.  1.42e-2  -0.0049  -0.0121   0.0605    0.203    0.321    0.542 GLD    63.7  0.0008   -0.0161
4 2007-06-28  50.0 SPY    150. -1.00e-4  -0.0105  -0.0202   0.0592    0.214    0.326    0.539 GLD    64.3  0.00930  -0.0046
5 2007-06-29  50.2 SPY    150.  3.00e-4  -0.0008  -0.0188   0.0594    0.206    0.320    0.513 GLD    64.3  0.0002   -0.0079
6 2007-07-02  50.8 SPY    152.  9.00e-3   0.0131  -0.0149   0.0677    0.193    0.325    0.534 GLD    65.0  0.0117    0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart